Search Results - subject:"Loss Distribution Approach"

A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk

Jongh, Pieter Juriaan de; De Wet, Tertius; Panman, Kevin; … - In: The journal of operational risk 11 (2016) 1, pp. 23-48

Persistent link: https://www.econbiz.de/10011518209

Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?

Peters, Gareth; Shevchenko, Pavel V.; Hassani, Bertrand; … - In: The journal of operational risk 11 (2016) 3, pp. 1-49

Persistent link: https://www.econbiz.de/10013177152

Optimal B-robust posterior distributions for operational risk

Danesi, Ivan Luciano; Piacenza, Fabio; Ruli, Erlis; … - In: The journal of operational risk 11 (2016) 4, pp. 35-54

Persistent link: https://www.econbiz.de/10013177177

Operational risk models and asymptotic normality of maximum likelihood estimation

Larsen, Paul - In: The journal of operational risk 11 (2016) 4, pp. 55-78

Persistent link: https://www.econbiz.de/10013177178

A PRACTICAL APPROACH TO MODEL BANKING RISKS USING LOSS DISTRIBUTION APPROACH (LDA) IN BASEL II FRAMEWORK

BARREIRA, Raquel; PRYER, Tristan; TANG, Qi - In: Journal of Applied Economic Sciences 4 (2009) 4(10)_Winter2009, pp. 483-493

calculating corporate risk reserves. One of the common yet cumbersome methods is the one known as loss distribution approach (cf …

Persistent link: https://www.econbiz.de/10008645000

THE USE OF NEURAL NETWORKS IN THE OPERATIONAL RISK DATA MODELING

BÃLAN, Cristian - Facultatea de Cibernetica, Statistica şi Informatica … - 2009

) assessment in the financial institutions, for the Loss Distribution Approach (LDA) method, using the Artificial Intelligence (AI …

Persistent link: https://www.econbiz.de/10008690274

Managing operational disruptions through capital adequacy and process improvement

Mizgier, Kamil J.; Hora, Manpreet; Wagner, Stephan M.; … - In: European Journal of Operational Research 245 (2015) 1, pp. 320-332

distribution approach (LDA) measures the capital charge using two inputs: the frequency and severity of operational disruptions. In …Firms maintain a capital charge to manage the risk of low-frequency, high-impact operational disruptions. The loss …

Persistent link: https://www.econbiz.de/10011264290

A simple, transparent and rational weighting approach to combining different operational risk data sources

Renaudin, Alexis; Grant, Matthew - In: The journal of operational risk 10 (2015) 2, pp. 23-44

Persistent link: https://www.econbiz.de/10011298866

Combining scenario and historical data in the loss distribution approach : a new procedure that incorporates measures of agreement between scenarios and historical data

Jongh, P. J. de; De Wet, Tertius; Raubenheimer, H.; … - In: The journal of operational risk 10 (2015) 1, pp. 45-76

Persistent link: https://www.econbiz.de/10011298876

Managing operational disruptions through capital adequacy and process improvement

Mizgier, Kamil J.; Hora, Manpreet; Wagner, Stephan M.; … - In: European journal of operational research : EJOR 245 (2015) 1, pp. 320-332

Persistent link: https://www.econbiz.de/10011291273